Systematic quantitative research
Most patterns
are noise.
We look anyway.
Pandan Research develops systematic intraday models designed for liquid index markets. Governed by out-of-sample statistical validation, automated risk ceilings, and zero overnight exposure.
Execution architecture
Four deterministic stages.
Each stage produces a single typed output for the next. The system cannot skip steps, force trades, or bypass risk controls. Every signal walks the same path independently.
Data Normalization
Microstructure and market state feeds normalized to a single timeline without lookahead bias. Data anomalies are quarantined before reaching downstream models.
out → normalized tensors
Regime Modeling
Predictive models evaluate forward volatility and structural state. Hypotheses that only survive in-sample are permanently discarded.
out → probabilistic scores
Structural Gating
Rejection filters evaluate exhaustion, trend alignment, and session timing. If statistical confidence is insufficient, exposure remains zero.
out → target positions
Order Lifecycle
Automated bracket execution with dynamic structural stop protection, continuous slippage measurement, and mandatory session flattening.
out → fills + flattened book
Methodology
Engineered around uncertainty.
We assume market edges are sparse, transient, and easily destroyed by friction. Every principle below exists to enforce that reality.
Walk-forward validation
Models are evaluated across sequential out-of-sample windows. If an edge fails on unseen data, it is rejected immediately.
Friction modeled first
Slippage, spread, and transaction costs are subtracted before any signal is admitted — never evaluated on theoretical gross returns.
Cash as default state
The engine only commits capital when multiple independent filters align. In ambiguous or high-noise regimes, exposure remains zero.
Risk constraints
Absolute boundaries.
Limits are set before a session opens and enforced at the execution layer, not in a policy document. No market condition permits an override.
| Overnight market exposure | 0.00% (Mandatory flat book) |
|---|---|
| Concurrent active positions | Strictly bounded (Single focus) |
| Per-trade risk allocation | Capped fraction of NAV |
| Daily loss circuit breaker | Automated session halt |
| Volatility blackout buffers | Enforced at session open & close |
| Downside protection | Dynamic structural trailing stops |
| Discretionary overrides | None (Fully systematic) |
Private testing
Limited research allocations.
Pandan Research is currently operating under paper and selective allocation testing. Inquiries for future validation tranches may register below.
One email when access opens. Nothing else.